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Symphonies
Max Drawdown Black Swan Catcher
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, tactical sleeve that tries to catch short bursts: buys volatility when stocks look overheated, buys 2x stock ETFs when they’re washed out, and otherwise sits in T‑Bills. Focuses on S&P 500, Nasdaq‑100, and semiconductors using short-term RSI signals.
NutHow it works
1) Checks if the S&P 500 has fallen >6% from a recent high within 10 days (a quick, big drop). 2) Splits the sleeve into three mini-bots: S&P 500, Nasdaq‑100, semiconductors. 3) Each bot reads a 10‑day RSI (a 0–100 heat meter: >80 hot, <30 cold) on a 3x ETF to spot extremes. 4) If hot: S&P/Nasdaq bots buy UVXY (volatility). If cold: they buy 2x long ETFs (SSO/QLD). The semi bot buys 2x semis only when cold. Otherwise they park in T‑Bills (BIL).
CheckmarkValue prop
Out-of-sample: ~19.5% annualized return with max drawdown ~13.9%, vs S&P ~20.8% and ~18.8% drawdown. Calmar ~1.40, Sharpe ~1.01—near-market upside with notably lower risk of big losses.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.210.310.090.29
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
685.88%15.41%-0.15%0.4%0.94
Max Drawdown Black Swan Catcher
3,217.07%27.57%1.63%2.24%1.45
Initial Investment
$10,000.00
Final Value
$331,707.28
Regulatory Fees
$603.55
Total Slippage
$3,237.49
Invest in this strategy
OOS Start Date
Nov 22, 2022
Trading Setting
Daily
Type
Stocks
Category
Tactical timing, volatility timing, leveraged etfs, regime switch, risk-on/risk-off, short-term mean reversion
Tickers in this symphonyThis symphony trades 9 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
QLD
ProShares Ultra QQQ
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X Shares
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x Shares
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SSO
ProShares Ultra S&P500
Stocks
TQQQ
ProShares UltraPro QQQ
Stocks
USD
ProShares Ultra Semiconductors
Stocks
UVXY
ProShares Ultra VIX Short-Term Futures ETF
Stocks

FAQ

A Composer symphony is an automated trading strategy that executes trades based on parameters of your choice. Some symphonies are similar to holding one ETF in normal conditions and rotating to a different ETF when market conditions shift, for example a 5% drop in the S&P 500, while others use complex rules with dozens of triggers. However, complex doesn’t always mean better. A simple, well-structured symphony can be just as effective as an intricate one. Learn more about how symphonies work here.

"Max Drawdown Black Swan Catcher" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Max Drawdown Black Swan Catcher" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Max Drawdown Black Swan Catcher" has returned 19.46%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Max Drawdown Black Swan Catcher" is 13.94%. The maximum drawdown measures the largest peak-to-trough decline. It's an important metric to evaluate risk and the strategy's behavior during market stress.

To invest in "Max Drawdown Black Swan Catcher", simply click the Invest button on this page. You'll need to open an account with Composer if you don't have one yet, then you can start investing. Composer will automatically execute the trades for you based on the strategy's rules. Composer also supports trading individual stocks, ETFs, and options.